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Installing a program on Ubuntu - need help

kirret used Ask the Experts™
Hi guys.

Need your help installing a program on Ubuntu 11 workstation. I'm complete novice on Linux so will need step-by-step guidance please.
I have downloaded a software from Vembu Storegrid, The file is called StoreGridSetup_4_2_0_SP.sh. I have tried to open it in couple of different ways but seems the most luck I have is when I right click on the file and choose Open - Run in Terminal. Then I get a black window coming up for 5 seconds saying something along the lines:
\pathtothefile\ You must be root to do that. Exiting
I have tried their support but it takes ages there to get answers and they aren't very detailed which is what I need in this case.
So I'm hoping you can help me out here with this issue, thanks.
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open terminal

cd /path/to/shfile
sudo ./StoreGridSetup_4_2_0_SP.sh
asks for password: put your current user password here

any system wide action like software installation must be done with "root" privileges, root is superuser in *nix system whis is allowed to do everything, in ubuntu root user itself is disabled by default, to overcome this "sudo" is used, sudo means "DO as SuperUser"


Thanks guys, that was quick.
So I managed to get to the next screen now where the installer asked if I want to install some additional packages like MySQL stuff and some other things needed for the program. I said YES and now I got this message:

  Checking For MySQL Package Compatability
 Please be patient. It could take a few minutes.

 mysql-common             : -e Already installed using package-management utility "apt-get"
 MySQL-connector-odbc  : not installed
 unixodbc             : not installed

NOTE: StoreGrid requires MySQL version 5.5.20 and its appropriate components. If any of the mysql packages are already installed using package management utility "apt-get" or if the version of the packages are different from MySQL-5.5.20, installation of MySQL package(s) will not go through. Therefore, please uninstall any such existing mysql package(s) and then try to running this ./StoreGridSetup_4_2_0_SP.sh installer again. To uninstall such package(s) Execute : "dpkg --remove package-name" and "dpkg --purge package-name" or "apt-get remove package-name" as a root user where package-name is 'mysql', 'mysql-libs', 'mysql-devel', 'mysql-server', 'mysql-client' or 'mysql-common'.

 Exiting ...

Just as an additional information, this Ubuntu has only latest updates installed and VMWare Workstation, nothing else.
I wonder if you guys can help me here or should I contact Vembu Support now as this is their program. Thanks anyway.